Based on the output data of the oil industry chain from February 2006 to June 2017, we construct a time‐varying parameter structural vector auto‐regression with stochastic volatility (TVP‐SVAR‐SV) model and specifically analyse the time‐varying effects and structural change of oil price shocks on China's output at each stage of the oil industrial chain. The results show that the effects of oil price shocks on output from upstream to downstream in the oil industrial chain are time‐varying, and the dynamic impacts vary under different lag lengths. The increase in oil price driven by oil demand shocks is the major factor affecting output at each stage of the oil industrial chain. In addition, there is a structural change in the impacts of oil price shocks before and after the international financial crisis. With the decline in external demand and the implementation of policies to expand domestic demand, the responses of China's output at each stage of the oil industrial chain to oil price shocks have decreased significantly since the international financial crisis.